Hidden semi-Markov-switching quantile regression for time series
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Publication:830112
DOI10.1016/J.CSDA.2021.107208OpenAlexW3134820497MaRDI QIDQ830112FDOQ830112
Authors: Antonello Maruotti, Lea Petrella, Luca Sposito 
Publication date: 7 May 2021
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2021.107208
Recommendations
EM algorithmmaximum likelihood estimationquantile regressionasymmetric Laplace distributionMarkov-switching modelssojourn distribution
Cites Work
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Cited In (7)
- On robust estimation of hidden semi-Markov regime-switching models
- Title not available (Why is that?)
- Markov and the Duchy of Savoy: segmenting a century with regime-switching models
- Quantile hidden semi-Markov models for multivariate time series
- Expectile hidden Markov regression models for analyzing cryptocurrency returns
- Parsimonious hidden Markov models for matrix-variate longitudinal data
- Markov switching quantile regression models with time-varying transition probabilities
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